Volume 3 of the Encyclopedia of Financial
Models
The need for serious coverage of financial modeling has never
been greater, especially with the size, diversity, and efficiency
of modern capital markets. With this in mind, the Encyclopedia
of Financial Models has been created to help a broad spectrum
of individuals–ranging from finance professionals to
academics and students–understand financial modeling and make
use of the various models currently available.
Incorporating timely research and in-depth analysis, Volume
3 of the Encyclopedia of Financial Models covers both
established and cutting-edge models and discusses their real-world
applications. Edited by Frank Fabozzi, this volume includes
contributions from global financial experts as well as academics
with extensive consulting experience in this field. Organized
alphabetically by category, this reliable resource consists of
forty-four informative entries and provides readers with a balanced
understanding of today’s dynamic world of financial
modeling.
* Volume 3 covers Mortgage-Backed Securities Analysis
and Valuation, Operational Risk, Optimization Tools, Probability
Theory, Risk Measures, Software for Financial Modeling, Stochastic
Processes and Tools, Term Structure Modeling, Trading Cost
Models, and Volatility
* Emphasizes both technical and implementation issues, providing
researchers, educators, students, and practitioners with the
necessary background to deal with issues related to financial
modeling
* The 3-Volume Set contains coverage of the fundamentals and
advances in financial modeling and provides the mathematical and
statistical techniques needed to develop and test financial
models
Financial models have become increasingly commonplace, as well
as complex. They are essential in a wide range of financial
endeavors, and the Encyclopedia of Financial Models will
help put them in perspective.
Daftar Isi
Volume III
Mortgage-Backed Securities Analysis and Valuation 1
Valuing Mortgage-Backed and Asset-Backed Securities 3
The Active-Passive Decomposition Model for MBS 17
Analysis of Nonagency Mortgage-Backed Securities 29
Measurements of Prepayments for Residential Mortgage-Backed Securities 47
Prepayments and Factors Influencing the Return of Principal for Residential Mortgage-Backed Securities 65
Operational Risk 79
Operational Risk 81
Operational Risk Models 91
Modeling Operational Loss Distributions 103
Optimization Tools 121
Introduction to Stochastic Programming and Its Applications to Finance 123
Robust Portfolio Optimization 137
Probability Theory 149
Concepts of Probability Theory 151
Discrete Probability Distributions 165
Continuous Probability Distributions 195
Continuous Probability Distributions with Appealing Statistical Properties 207
Continuous Probability Distributions Dealing with Extreme Events 227
Stable and Tempered Stable Distributions 241
Fat Tails, Scaling, and Stable Laws 259
Copulas 283
Applications of Order Statistics to Risk Management Problems 289
Risk Measures 297
Measuring Interest Rate Risk: Effective Duration and Convexity 299
Yield Curve Risk Measures 307
Value-at-Risk 319
Average Value-at-Risk 331
Risk Measures and Portfolio Selection 349
Back-Testing Market Risk Models 361
Estimating Liquidity Risks 371
Estimate of Downside Risk with Fat-Tailed and Skewed Models 381
Moving Average Models for Volatility and Correlation, and Covariance Matrices 395
Software for Financial Modeling 415
Introduction to Financial Model Building with MATLAB 417
Introduction to Visual Basic for Applications 449
Stochastic Processes and Tools 469
Stochastic Integrals 471
Stochastic Differential Equations 485
Stochastic Processes in Continuous Time 495
Conditional Expectation and Change of Measure 507
Change of Time Methods 519
Term Structure Modeling 531
The Concept and Measures of Interest Rate Volatility 533
Short-Rate Term Structure Models 543
Static Term Structure Modeling in Discrete and Continuous Time 559
The Dynamic Term Structure Model 575
Essential Classes of Interest Rate Models and Their Use 593
A Review of No Arbitrage Interest Rate Models 603
Trading Cost Models 621
Modeling Market Impact Costs 623
Volatility 635
Monte Carlo Simulation in Finance 637
Stochastic Volatility 653
Tentang Penulis
Frank J. Fabozzi is editor of the Journal of Portfolio Management and an Adjunct Professor of Finance at Yale University’s School of Management. Frank is a Chartered Financial Analyst and Certified Public Accountant. He is on the board of directors of the Guardian Life family of funds and the Black Rock complex of funds. He earned a doctorate of economics from the City University of New York in 1972 and in 1994 received an honorary doctorate of Human Letters from Nova Southeastern University. Frank is a Fellow of the International Center for Finance at Yale University.
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